DD1 was about 8. She made the decision herself and has been quite clear about closing doors etc. I'm allowed to come into the bathroom when she's in the bath, but I'm the only one, she doesn't want to be naked in front of anyone else.
Dd started asking for some privacy (shower alone, close the bedroom door when she is changing etc) around 9/10 the start of puberty when her body began changing.
We follow her lead, it's been quite natural. She might still shout for one of us when she's in the shower (forgot shampoo etc) but we would always knock before entering (especially dh as he finds it much more embarrassing than she does and will always ask her if she wants to grab a towel before he enters).
Ds is 7 and shows no sign of being bothered yet, maybe he will never be bothered. We will follow his lead too.
DS1 is 7 and still walks around naked before and after showers, changes and bathes with the door open. He only wants the door closed if someone comes in the house (although not my parents or sister as we lived with them for a while).
We have to actively encourage him to shut the door when he's on the toilet. No shame.
DS has just turned 8 and still doesn't care, has no shame. That's with me, at his dads I'm not sure, I presume the same. Don't know when that will come in. Uses a cubicle at swimming, but that's more for other girls privacy than his. I was wondering that myself the other day though.